2017
Том 69
№ 6

All Issues

Approximation of solutions of stochastic differential equations with fractional Brownian motion by solutions of random ordinary differential equations

Ral’chenko K. V., Shevchenko H. M.

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Abstract

We prove a general theorem on the convergence of solutions of stochastic differential equations. As a corollary, we obtain a result concerning the convergence of solutions of stochastic differential equations with absolutely continuous processes to a solution of an equation with Brownian motion.

English version (Springer): Ukrainian Mathematical Journal 62 (2010), no. 9, pp 1460-1475.

Citation Example: Ral’chenko K. V., Shevchenko H. M. Approximation of solutions of stochastic differential equations with fractional Brownian motion by solutions of random ordinary differential equations // Ukr. Mat. Zh. - 2010. - 62, № 9. - pp. 1256–1268.

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